Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0047
Annualized Std Dev 0.2254
Annualized Sharpe (Rf=0%) -0.0210

Row

Daily Return Statistics

Close
Observations 3647.0000
NAs 1.0000
Minimum -0.1539
Quartile 1 -0.0046
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0056
Maximum 0.1204
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0142
Skewness -0.7618
Kurtosis 18.9917

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0104
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.7055
Historical VaR (95%) -0.0197
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0207
Modified ES (95%) -0.0306
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7055 3474 444 NA
2007-02-21 2007-03-05 2007-04-17 -0.0581 39 9 30
2006-12-15 2007-01-05 2007-02-01 -0.0308 31 13 18
2006-10-27 2006-11-02 2006-11-15 -0.0176 14 5 9
2007-05-24 2007-05-24 2007-05-30 -0.0156 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA -0.4 -1.5 0.1 -0.5 -2.2
2007 0.7 -0.4 -0.4 0 0.6 -0.1 -0.4 1.3 1.5 -2.4 0.3 -0.3 0.4
2008 1.7 -2.4 3.2 1.3 0 0 0.2 -0.3 0.8 2.6 -9.6 2.9 -0.5
2009 -2.8 -2 1.9 1.2 3.2 1.1 0.6 -1.8 -2.3 -2.1 1.1 -0.9 -3
2010 1.3 0.9 0.6 -0.8 -1.9 -0.1 0.2 2.1 0.3 -0.2 1.3 0.1 3.9
2011 1.4 -1 0.5 0.1 -1.4 1 0.1 -0.9 -1.4 -2.5 -0.1 -0.1 -4.3
2012 1.1 0.4 0.2 0.5 -2 1.9 -0.3 0.5 0.3 0.9 -0.1 1.3 4.7
2013 0.4 0 -0.6 -0.9 -1.5 0.5 0.3 -0.7 0.8 0 0.3 0.2 -1.2
2014 -0.6 0.2 0.5 0 0.1 0.2 -0.5 0.4 -0.8 0.5 -1.4 -0.5 -1.8
2015 -0.5 0.2 0 0.5 -0.1 0.3 0 -2.4 0.1 0.6 0.4 -0.1 -1
2016 0.1 1.6 -0.8 -0.4 0.3 0.8 -1 -0.6 0.5 -1.4 -0.2 0 -1
2017 0 0.7 0.3 -0.1 0.9 0.3 0.4 0.6 0.4 0.4 -0.3 0.1 3.6
2018 -0.1 -0.7 0.7 -0.3 0.5 -0.5 -0.7 -0.2 -0.2 1.4 0 0.8 0.8
2019 -0.1 0.1 1.4 -0.7 -1.1 0.4 -1.9 0.3 -1.3 1.2 -0.6 0.4 -2
2020 -1.7 -1.2 -6.1 -4.4 1.8 -1.4 -0.7 0.4 0.1 -0.1 1.2 0.6 -11.2
2021 1.2 2.3 -0.3 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart